Marco Bee

University of Trento - Department of Economics and Management

Via Inama 5

I-38122 Trento

Italy

SCHOLARLY PAPERS

4

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SSRN CITATIONS

1

CROSSREF CITATIONS

7

Scholarly Papers (4)

1.

An Improved Pairs Trading Strategy Based on Switching Regime Volatility

Number of pages: 25 Posted: 27 Jul 2015
Marco Bee and Giulio Gatti
University of Trento - Department of Economics and Management and University of Trento - Department of Economics and Management
Downloads 1,937 (12,136)

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Pairs trading, Gaussian mixture, Hidden Markov Model, Cointegration

2.

Copula-Based Multivariate Models with Applications to Risk Management and Insurance

Number of pages: 27 Posted: 12 Sep 2005
Marco Bee
University of Trento - Department of Economics and Management
Downloads 1,116 (27,971)
Citation 4

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Copula, Tail dependence, Loss model, Portfolio model

3.

On Maximum Likelihood Estimation of Operational Loss Distributions

University of Trento Department of Economics Working Paper No. 2005-03
Number of pages: 23 Posted: 23 Mar 2005
Marco Bee
University of Trento - Department of Economics and Management
Downloads 446 (93,268)
Citation 10

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Truncated distribution, Loss model, EM algorithm, Capital at Risk

4.

Modeling Multivariate Operational Losses Via Copula-Based Distributions with G-and-H Marginals

Journal of Operational Risk, Vol. 17, No. 1, 2021
Number of pages: 32 Posted: 23 Feb 2022
Marco Bee and Julien Hambuckers
University of Trento - Department of Economics and Management and University of Liège - HEC Liège
Downloads 1 (911,751)
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Abstract:

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loss model, dependence structure, vine copula, value-at-risk, regulatory capital